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1.1

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1.2

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1.4


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1.5


t-1 t.

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Rt

Pt Pt1 Dt

Pt1 Pt1

(1)

Rt

Pt

Pt 1

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Dt

( 1 )
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( 1 )
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:

R1 R2 R3 ..... Rt
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(2)

2.1 H. Markowitz

Markowitz, ,
" ". "
Journal of Finance" 1952

. H. Markowitz
1959 "Portfolio Selection".

2.1.1

H.

Markowitz

()

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2.1.2

(rp )

W1 W0
W0

(3)

W0 =
W1 =


r p ,
( )
().

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r p E(r)

2 Var ( r )

Markowitz
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E ( RP ) E ( Ri ) wi
i 1

E(RP )

(4)

wi

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N N

p wi wj pij i j
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(5)

i, j

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2. 1 p +1. ( )
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4.

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2.1.3

Markowitz ,
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2.1.4


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2.1.5

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2.1.6.

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2.2
(C.A.P.M.)

Markowitz
William Sharpe, John Lintner Jan Mossin,
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Markowitz
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2.2.1

(CAPM)
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2.2.2 (CML)

C.A.P.M.
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Rf .
R f M

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(Capital
Market Line) CML.

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CML :

RM R f

M 0

RM R f

M 0

4
(CML)
:

R Rf
E(Ri ) Rf M
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(6 )


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2.2.3 (SML)

()
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(Security
Market Line) SML :

E ( Ri ) R f RM R f i e ( 7 )
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(SML)

2.2.4

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( 7 )

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b p ,

bp wi bi

(8)

wi

bi

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ni p i

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2.3
( A.P.T.)

C.A.P.M. A.P.T.
, . 1976
Stephen Ross .
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2.3.1

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E(Ri ) Rf (1 Rf )i1 (2 Rf )i2 ....(v Rf )iv

1 , 2
1, 2

(10)

( )

1 R f

( 2 R f ) i 2

2.3.2

CAPM
, (security returns)
. CAPM APT
( )
.

1986 Richard Roll, Stephen Ross Nai-Fu Chen



(security returns):
1.
2.
3.
4.
5.
.

2.4 Fama-French

Gene Fama Ken French 1992


(Fama- French 3 factor model)
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CAPM , ,
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1. Small Caps
2. Stock with a high book-to-market ratio (value stock)

CAPM
.

(11)

HBETA LBETA

SCAP LCAP

2.5 Carhart

Carhart . 1997
Fama- French,
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ER
( i )Rf (HBETA LBETA)BETA (SCAP LCAP)SIZE (LPr HPr)Pr (HMOM LMOM)e
(12)
:
12

2.6 (EMH)

()
Louis Bachelier, "
" 1900. 1950,
Paul Samuelson Bachelier
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1965 Eugene Fama
(random walk model). 1970
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2.6.1

Fama
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1. (Weak Form)

(market data).
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2. - (Semi strong Form)



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3. (Strong Form)

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1. (active management)
2. (passive management)

3.2

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3.3.1

(Market timing)

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(index fund).
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(bonds)
(hedge funds).

4.1

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4.2


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(hedge funds)


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2.
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4.3

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4.3.1 Treynor

Treynor (1965)
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1. .
2.

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Treynor
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Treynor:
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TP

RP Rf

(13)

Benchmark

Treynor ,
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(SML).

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Treynor

4.3.2 Sharpe

Sharpe (1966)
(CAPM),
(CML)
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Sharpe:
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SP

RP Rf

(14)


Treynor ,

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Sharpe

4.3.3 Jensen

Jensen (1986)
(CAPM).

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Jensen

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Treynor Sharpe, ,
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